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Abstract In this study, we provide empirical evidence on the relative impact of energy market sentiments on the stock and ESG index returns in the U.S. and Gulf Cooperation Council (GCC) economies. Specifically, we study movements in four distinct categories of energy sentiments (natural gas, crude oil, RBOB gasoline, and heating oil) displayed by professional investors and investigate their relative impact on ESG investments and stock returns in the U.S. and GCC economies. We employ the recently developed automatic time series forecasting methodology Autometrics to examine the postulated relationships. The results of the regression models suggest that there is a significant negative impact of stock sentiments and a positive impact of energy sentiments on the S&P 500 returns. However, in the case of the U.S. energy companies' returns, there are significantly higher effects of only energy market sentiments (mainly crude oil and RBOB gasoline). In the case of the GCC stock markets, there are significant positive impacts of crude oil sentiments and the S&P 500 of varying degrees of strength. The most significant impact of crude oil sentiments is observed in UAE and Saudi Arabia and is almost of the same magnitude as those on the U.S. energy companies' returns. These results are consistent with arguments provided in behavioral finance studies that investors prefer bigger profits over social returns during bullishness and step back from social investing when better investment opportunities are available. Also, ESG investing may be preferred during bearishness by utilitarian investors to generate abnormal returns during such lean periods. Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-03-24 How to Cite Verma, R., & Mohnot, R. (2023). Relative Impact of the U.S. Energy Market Sentiments on Stocks and ESG Index Returns: Evidence from GCC Countries. International Journal of Energy Economics and Policy, 13(2), 290–300. https://doi.org/10.32479/ijeep.14184 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 2 (2023) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Gyanendra Singh Sisodia, Hemant Kumar Sah, Hajer Kratou, Rajesh Mohnot, Alberto Ibanez, Bhumika Gupta, The Long-Run Effect of Carbon Emission and Economic Growth in European Countries: A Computational Analysis through Vector Error Correction Model , International Journal of Energy Economics and Policy: Vol. 13 No. 3 (2023) Make a Submission Make a Submission Dergi Kapağı

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